impliedRate: Back out the implied volatility of an option given its market...
In shill1729/pricing: Option pricing engines for (jump)-diffusions
Description
Usage
Arguments
Value
View source: R/impliedParmeters.R
Description
Back out the implied volatility of an option given its market price
Usage
1
impliedRate(strike, maturity, spot, price, volat, type, N, M, ub = 5)
Arguments
strike
the strike price of the option to backout parameters for
maturity
the maturity of the option, in trading years
spot
the spot price of the underlying
price
the market price of the option contract
volat
the risk-free rate
type
the type of option: put or call
N
number of time sub-intervals
M
number of space sub-intervals
ub
the bound on the risk-free rate search-space
Value
numeric
shill1729/pricing documentation built on Jan. 9, 2022, 12:56 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value
View source: R/impliedParmeters.R
Description
Back out the implied volatility of an option given its market price
Usage
1 | impliedRate(strike, maturity, spot, price, volat, type, N, M, ub = 5)
|
Arguments
strike |
the strike price of the option to backout parameters for |
maturity |
the maturity of the option, in trading years |
spot |
the spot price of the underlying |
price |
the market price of the option contract |
volat |
the risk-free rate |
type |
the type of option: put or call |
N |
number of time sub-intervals |
M |
number of space sub-intervals |
ub |
the bound on the risk-free rate search-space |
Value
numeric
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.